自20世纪80年代以来，在金融市场高度发达和风险状况日益复杂的背景下， 基于对资本管理和风险管理的认识不断深化，商业银行逐步探索形成了全新的风 险管理手段—经济资本管理。经济资本管理体现了商业银行风险管理的新理念， 较好的解决了收益和风险的平衡问题，正逐步演变成国际上商业银行管理的共同 语言。目前，我国商业银行对经济资本管理的研究和应用还处于初期阶段，尤其 是我国城市商业银行的经济资本管理刚刚起步，因此研究城市商业银行的经济资 本管理不仅具有理论意义，还具有重要的实践意义。本文最大的特点在于把城市 商业银行作为研究对象，在城市商业银行经济资本管理方面做一些有益的探索。 对我国城市商业银行的风险管理进行了考察，分析了其中存在的突出问题，在此 基础上，探索城市商业如何引进经济资本管理，在引进资本管理的过程中需要克 服哪些困难和障碍，以及如何解决这些困难和障碍。 本文共分为 8 个部分： 第一章：引言。阐述了写作的背景及意义，关于经济资本管理的国内外研究 及应用现状，本文的研究思路与方法及可能的创新点。 第二章：经济资本管理概述。详细介绍了经济资本和经济资本管理的内涵， 阐述了经济资本管理与《巴塞尔新资本协议》的关系、经济资本管理在全面风险 管理中的重要作用。 第三章：经济资本计量、配置与考核方法介绍。本章介绍了《新资本协议》 中规定的和国际先进银行正在应用的经济资本计量、配置和绩效考核的主要方 法。 第四章：城市商业银行经济资本管理框架设计。站在银行全局管理的高度， 把经济资本管理七个子系统放到一个统一的宏观经济资本管理框架下。 第五章：城市商业银行经济资本计量研究。首先对我国城市商业银行的风险 管理现状进行研究，在此基础上提出了我国城市商业银行目前应该采用的风险计 量方法，同时还对一些先进的计量模型分析改进，为我国城市商业应用这些模型起到借鉴作用。 第六章：城市商业银行经济资本配置与绩效考核研究。首先建议我国城市商 业银行采用内部系数法配置经济资本，建议在内部评级完善的基础上采用资产波 动法配置经济资本。在绩效考核方面，建议用 EVA 对机构、产品、客户进行考核， 为了达到考核的精确性，提出了在内部转移价格和成本核算方面引进先进的方法 和系统。 第七章：推进城市商业银行经济资本管理的策略。城市商业银行实施经济资 本管理不可能一蹴而就，必须循序渐进，所以作者对经济资本管理推进原则和推 进过程中可能遇到的技术难点提出了自己的看法。 第八章：结论。总结了本文研究的创新点和研究的不足，明确了以后的研究 方向。 关键词：经济资本 经济资本管理 风险管理 城市商业银行Abstract Commercial Bank forms a fire-new method of risk management since the 1980s, that is, Economic Capital Management. Which bellow the setting of the speed developing financial market and the complicated risk profile, with an ever-growing realization of capital management and risk management. Economic capital management incarnates Commercial Bank’s new ideas of risk management and solves the balance problem of profit and risk. At the same time, it is evolved the common language of international commercial bank management step by step. At present, the research and the application of economic capital management in our Commercial Bank is under the condition of primary phase, especially the Economic Capital Management of urban commercial bank is starting, and therefore, research the economic capital management of Commercial Bank not only has the theoretical significance, but also has the significant practical significance. The greatest character of this thesis is put urban commercial bank as the research object, and make some beneficial exploration on urban commercial economic capital management. Inspect the risk management of our urban commercial bank, and analyze the prominent problems. On that basis, explore how to bring economic capital management into urban bank, the difficulties and obstacles which need to overcome in the process of import capital management, and how to solve these difficulties and obstacles. There are eight chapters of this thesis: Chapter One: Introduction. Introduce the writing background and significance; the domestic and overseas research and application status; the research mentality, method and possible innovation spot of the thesis. Chapter Two: Summary of Economic Capital Management. Introduce the connotation of economic capital and the economic capital management in detail. Set forth the relation of economic capital management and 《 Basel New CapitalAgreement》, the vital role of economic capital management in comprehensive risk management. Chapter Three: Introduction of economic capital calculates, collocate and assess methods. Introduce the specified of 《New Capital Agreement》 and international advanced banks in process of applied economic capital calculates, collocate and chief method of performance assessment. Chapter Four: The frame design of urban commercial bank economic capital management. Put sever subsystems of economic capital management into a uniform macro- economic capital management frame, which stand in the height of bank whole situation management. Chapter Five: The research of urban commercial bank economic capital calculates. First of all, research the risk management status of our urban commercial bank. On that basis, put forward the adoptive risk calculate methods of our urban commercial bank at present. At the same time, improve some advanced calculate model analysis, which has referential role for our urban commercial apply these models. Chapter Six: The research of urban commercial bank economic capital collocate and performance assessment. First of all, suggest our urban commercial bank adopt interior ratio method to collocate economic capital, and adopt capital fluctuate method to collocate economic capital on the basis of accelerated interior rate. With respect to performance assessment, suggest qualify for organization, product and custom by EVA. Put forward on the basis of interior transfer price cost accounting import advanced methods and systems in order to achieve the accuracy of assessment. Chapter Seven: Boost the strategy of urban commercial bank economic capital management. Urban commercial bank carry out economic capital management cannot be accomplished in an action, which must be step by step. Therefore, the author put forward own view about economic capital management propel principle and possible technical problem. Chapter Eight: Conclusion. Sum up the research innovation and shortage of the thesis, and specify the later research aspect.Key words: economic capital, economic capital management, risk management, urban commercial bank目 录 中文摘要 英文摘要 引 言...........................................................1 （一）研究的背景和意义..........................................1 1.研究背景..................................................1 2.理论意义和现实意义........................................2 （二）国内外研究及应用现状......................................3 1.国外研究及应用现状.......................................3 2.国内研究及应用现状.......................................5 （三）研究的思路与方法..........................................7 1．研究的目标及拟解决的关键问题............................7 2.研究的方法...............................................7 （四）本文可能的创新点..........................................8 二、经济资本管理体系概述...........................................9 （一）经济资本管理内涵..........................................9 1.经济资本定义..............................................9 2.经济资本与账面资本、监管资本的区别 [19] ......................9 3.经济资本管理.............................................10 4.经济资本管理的主要功能...................................11 （二）经济资本管理与《巴塞尔新资本协议》.......................12 （三）经济资本管理与全面风险管理分析...........................13 三、商业银行风险的经济资本度量、配置与考核........................ 14 （一）经济资本计量.............................................14 1.信用风险的计量...........................................14 2.市场风险的计量...........................................153.操作风险的计量...........................................17 （二）经济资本配置.............................................19 1.系数法...................................................19 2.收入波动法...............................................19 3.资产波动法...............................................20 （三）基于经济资本的 EVA 绩效考核体系...........................21 1.EVA 的基本公式及含义 .....................................21 2.应用 EVA 考核的优势.......................................21 四、我国城市商业银行经济资本管理框架设计..........................23 （一）战略管理体系.............................................24 （二）风险管理体系.............................................25 （三）经济资本配置体系.........................................26 （四）RAROC 和 EVA 体系 .........................................27 （五）数据支持体系.............................................28 （六）制度管理体系.............................................29 （七）组织管理体系.............................................30 （八）整体建设步骤规划.........................................30 五、我国城市商业银行经济资本计量研究..............................31 （一）我国城市商业银行风险管理现状.............................31 1.信用风险管理现状.........................................31 2.市场风险管理现状.........................................31 3.操作风险管理现状.........................................32 （二）城市商业银行经济资本计量研究.............................32 1．城市商业银行实行内部模型法的差距分析....................33 2．我国城市商业经济资本计量现实选择与改进..................34 六、我国城市商业银行经济资本配置与绩效考核研究 .................... 39 （一）我国城市商业银行经济资本配置研究.........................39 （二）城市商业银行应用 EVA 研究.................................39 1.基本 EVA 和真实 EVA .......................................402.城市商业银行 EVA 定制的基本思路...........................40 七、推进城市商业银行经济资本管理的策略............................41 （一）经济资本管理的推进总体原则...............................41 1．循序渐进，稳步推行......................................41 2．夯实管理基础，全面提高风险计量水平......................41 3．加强经济资本配套制度的研究制定..........................41 4．不断完善后台参数管理....................................42 5．采取“自上而下、逐步并轨”的推行线路....................42 6．以增量管理为主，同时加强存量管理........................42 （二）推进我国城市商业银行经济资本管理的技术要点...............42 1．加快内部评级建设........................................42 2．建立专门的经济资本管理系统..............................43 3．确定合理的内部资金转移价格..............................43 4．细化成本核算............................................44 结 论.......................................................... 45